Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/70380 
Year of Publication: 
2000
Series/Report no.: 
Research Report No. 2000-13
Publisher: 
The University of Western Ontario, Department of Economics, London (Ontario)
Abstract: 
This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and strongly arbitrage-free security markets, and establish the weakly arbitrage-free pricing theorem and the strongly arbitrage-free pricing theorem.
Subjects: 
the first fundamental valuation theorems
frictional markets
weak arbitrage-freeness
strict arbitrage-freeness
arbitrage-free pricing theory
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.